Daily Trading Stance - 2009-08-28

Daily Trading Stance

Friday, August 28, 2009

Theme Comment US Q2 GDP revisions were almost unchanged (and thereby better than expected) from the first estimate. Stocks closed higher after rejecting new 4-day lows and EUR is edging higher vs. USD and JPY – indicating optimism. The HighYield Universe is underperforming slightly and that is a concern, but we still maintain a buy-on-dips stance. Beware of the election in 2 days in Japan. LDP stands to lose power in a landslide loss and the DPJ stands to win – first time in half a decade. DPJ stands for handouts but also reform. It is difficult to believe that the structural problems of Japan can get much worse. The unemployment rate just came out at 5.7%. Economic Data Releases Country Time (GMT) UK 08:30 US 12:30 US 14:00

Name GDP QoQ (JUL) US PCE Core YoY (JUL) U. of Michigan Confidence (AUG)

FX EURUSD EURJPY USDJPY GBPUSD AUDUSD

Comment Break abv 1.4280 sees focus on upside n/term. Buy dips to 1.4325 for 1.4450 Suppt now rising to 134.00-10. Look for test of res at 135.20 Seen struggling abv 94.0, but likely ranging 93.30-94.00 Risk of a squeeze up to 1.6340-50 but overall a sell for sub-1.62 again Buy dips down to 0.8350 for a re-test of 0.8425-50 levels

Daily stance 0/+ 0/+ + 0/0/+

FX-Options EURUSD

Expectation -0.8% 1.4% 64.0

Prior -0.8% 1.5% 63.2

Comment

Comment ATM vols still offered in the market whereas the wings are very bid. Market looking for nonfarm on 4 sep to determine the next moves. Vols softer across the curve this morning, spot holds steady and front end seeing the usual gamma sellers. Despite the elections this weekend, market is not expecting any surprises. Gamma has been offered most of the session as spot is just sitting around a tight range. Back end saw some bids, and next event risks would be RBA and nonfarm next week.

USDJPY AUDUSD

Equities DAX FTSE S&P500 Nasdaq100 Dow Jones

Daily stance 0/+ 0/+ 0/+ 0/+ 0/+

Comment Buy at the break of 5520 targeting 5575. S/L below 5485. Buy at the break of 4910 targeting 4954. S/L below 4870. Buy at the break 1033 targeting 1040. S/L below 1029.

Commodities Gold Silver Oil

Daily Stance 0/+ 0/+ 0/+

Comment Buy around 945 and target 956. Stop below 940. Buy at the break of 14.50 and target 14.75. Stop below 14.40. Buy on dips towards 72 and target 73.50. Stop below 71.

Earnings Releases Time (GMT) Country (G(GMT)(G US Bf-Mkt MT)

Name Tiffany

EPS exp. 0.334

EPS prior 0.200

Comment

Daily Trading Stance Top 100 Global Stocks CDS Index

US Breakeven 10 Year

140

3

2,5 120

2

1,5

100

1 80

0,5

0 60

-0,5 #N/A 21-aug 16-aug 11-aug 06-aug 01-aug 27-jul 22-jul 17-jul 12-jul 07-jul 02-jul 27-jun 22-jun 17-jun 12-jun 07-jun 02-jun 28-maj 23-maj 18-maj 13-maj 08-maj 03-maj 28-apr 23-apr 18-apr 13-apr 08-apr 03-apr 29-mar 24-mar 19-mar 14-mar 09-mar 04-mar 27-feb 22-feb 17-feb 12-feb 07-feb 02-feb 28-jan 23-jan 18-jan 13-jan 08-jan 03-jan 29-dec 24-dec 19-dec 14-dec 09-dec 04-dec 29-nov 24-nov 19-nov 14-nov 09-nov 04-nov 30-okt 25-okt 20-okt 15-okt 10-okt 05-okt 30-sep 25-sep 20-sep 15-sep 10-sep 05-sep 31-aug 26-aug 21-aug 16-aug 11-aug 06-aug 01-aug 27-jul 22-jul 17-jul 12-jul 07-jul 02-jul 27-jun 22-jun 17-jun 12-jun 07-jun 02-jun 28-maj 23-maj 18-maj 13-maj 08-maj 03-maj 28-apr 23-apr 18-apr Reques ting Data...

40 29-08-2008

29-10-2008

29-12-2008

28-02-2009

30-04-2009

30-06-2009

Saxo CDS Index

US Breakeven 1 0 Year

Credit Default Swaps are expressions for the perceived default risk in a company. Now at 55.

USD breakeven 10 Year – an expression for measuring inflation expectations.

AAA and BAA Corporate Bonds vs. 30yr US Treasuries

EURUSD Opt. Vol. 7

35

6

30

5

25

4

20

3

15 2

10 1

5 0

0 #N/A Requesting Data...

jul-09

maj-09

mar-09

jan-09

dec-08

okt-08

EUR-USD OPT VOL 1W

aug-08

EUR-USD OPT VOL 1M

jun-08

maj-08

mar-08

jan-08

nov-07

okt-07

#N/A augaugaugaugjul-09 jul-09 jul-09 jul-09 jul-09 junjunjunjunjunmajmajmajmajmajaprapraprapraprmarmarmarmarmarfebfebfebfebfebjanjanjanjanjandecdecdecdecdecnovnovnovnovnovoktoktoktoktoktsepsepsepsepsepaugaugaugaugaugaugjul-08 jul-08 jul-08 jul-08 jul-08 junjunjunjunjunmajmajmajmajmajaprapraprapraprmarmarmarmarmarfebfebfebfebfebjanjanjanjanRequ 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 08 esting Data.. . Moody BAA - US Generic Govt 30 Year Yield

EUR-USD OPT VOL 1Y

Moody AAA - US Generic Govt 30 Year Yield

Spreads are easing, but still showing tight corporate debt markets.

Volatility at different time horizons. Too low, now?

CEE-German Govt. Bond Spreads

CBOE SPX VOLATILITY INDEX 60

12

50

10

40

8 30

6 20

4 10

2 0

0 #N/A aug-09 aug-09 aug-09 aug-09 aug-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jun-09 jun-09 jun-09 jun-09 jun-09 jun-09 jun-09 maj-09 maj-09 maj-09 maj-09 maj-09 maj-09 maj-09 apr-09 apr-09 apr-09 apr-09 apr-09 apr-09 apr-09 apr-09 mar-09 mar-09 mar-09 mar-09 mar-09 mar-09 mar-09 feb-09 feb-09 feb-09 feb-09 feb-09 feb-09 feb-09 jan-09 jan-09 jan-09 jan-09 jan-09 jan-09 jan-09 dec-08 dec-08 dec-08 dec-08 dec-08 dec-08 dec-08 dec-08 nov-08 nov-08 nov-08 nov-08 nov-08 nov-08 okt-08 okt-08 Requestin g Data...

#N/A augaugaugaugaugaugaugaugaugaugaugaugjul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 jul-09 junjunjunjunjunjunjunjunjunjunjunjunjunjunjunmajmajmajmajmajmajmajmajmajmajmajmajmajmajmajaprapraprapraprapraprapraprapraprapraprapraprmarmarmarmarmarmarmarmarmarmarmarmarmarmarmarmarfebfebfebfebfebfebfebfebfebfebReque 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 09 sting Data.. . CBOE SPX VOLATILITY INDX

G DMA H ungarian - G erman

Cz ech Republic - G erman

Poland - G erman

The VIX Index is heading lower, now at 26.

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